On the reversal of return and dividend growth predictability: A tale of two periods
By Long Chen. 2009
221 citations recorded by the source corpus.
Subfields: Accounting, Finance, Strategy and Management
View Paper: https://www.semanticscholar.org/paper/1ec9a23c04be44f2a8a0bbdf8b97e6be7af47df5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
In Finance
- Thomas Quistgaard Pedersen
- Tom Engsted
- Jin Seo Cho
- Tae-Hwan Kim
- Yongcheol Shin
- N. Apergis
- Ilhan Ozturk
- Arshian Sharif
In Strategy and Management
Citations in the corpus
- Dividend Dynamics and the Term Structure of Dividend Strips (2015, unknown): “The issue of dividend growth predictability and smoothing is investigated in Chen (2009) and Chen, Da, and Priestley (2012).”
- What Drives Stock Price Movements (2013, unknown): “…or cash flow measures, cash flow news can be more important than what is normally perceived (e.g., Ang and Bekaert 2007; Larrain and Yogo 2008; Chen 2009; Binsbergen and Koijen 2010; Chen, Da, and Priestley 2012).2 The relative importance of cash flow and discount rate news has an important…”
- Quantile cointegration in the autoregressive distributed-lag modeling framework (2015, methodology): “Using the univariate regression of dividend change on its own lags, Chen et al. (2010) find that the autoregressive coefficient is 0.”
- The dividend-price ratio does predict dividend growth: International evidence (2009, methodology): “For the US we nd results basically identical to those reported by Cochrane (2008) and Chen (2008), except at four important points. First, for the early period (up to 1949), we nd statistically signi cant return predictability at both short and long horizons in the rightdirection, i.e. an increa”
- Four Centuries of Return Predictability (2014, unknown): “Following Chen (2009), we split the U.S. sample in the early U.S. period (1871-1945) and the recent U.S. period (1945-2012).”
- The Log-Linear Return Approximation, Bubbles, and Predictability (2012, unknown): “…explain the predictability of stock returns by the dividend-price ratio that several studies have reported over the years (e.g., Fama and French (1988), Campbell and Shiller (1988a), (1988b), Lewellen (2004), Campbell and Yogo (2006), Cochrane (2008), Chen (2009), and Engsted and Pedersen (2010)).”